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It does indeed look like a locust - probably caught up in the strong winds we've been having and blown some way off course! Probably worth letting your local biological records centre know as I guess this would be a relatively rare sighting, I'm sure they would be interested to know.
I last saw these in Greece where they're common... It's a long way from home (Southern Europe/Med) and will be getting too chilly to survive outside soon. This link http://www.orthoptera.org.uk/account.aspx?ID=32 gives their status as "Occasional casual introduction", so Michael's suggestion of how it came to the midlands is likely.
Nick Upton, naturalist and photographer.
Lat/Lng: 53.1635, -1.2005
OS grid ref: SK535632
found at work we receive pellet from europe asia middle east and pulverize into powder for the plastics industry